{"id":610,"date":"2020-05-31T09:28:54","date_gmt":"2020-05-31T09:28:54","guid":{"rendered":"https:\/\/ricovictor.com\/?p=610"},"modified":"2020-05-31T12:00:43","modified_gmt":"2020-05-31T12:00:43","slug":"analisis-de-cointegracion-para-forex","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2020\/05\/31\/analisis-de-cointegracion-para-forex\/","title":{"rendered":"An\u00e1lisis de Cointegraci\u00f3n para Forex"},"content":{"rendered":"\t\t
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El an\u00e1lisis de cointegraci\u00f3n y multicointegraci\u00f3n<\/strong> usado en econometria<\/strong> puede ser de mucha ayuda cuando queremos comprobar los desequilibrios que hay entre los precios de los activos financieros,especialmente en el mercado de divisas(Forex)<\/strong>, donde hay una interrrelaci\u00f3n muy importante entre todos los pares de divisas que vemos en el mercado.<\/p>

Ya anteriormente he hablado aqu\u00ed de c\u00f3mo utilizar \u00e9stas t\u00e9cnicas para crear una estrategia de arbitraje<\/strong> con objetivo de invertir o en su defecto analizar la situaci\u00f3n general del mercado. Incluso he subido un curso con una serie de tutoriales gratuitos. Aqu\u00ed te dejo el enlace por si quieres verlo.\u00a0<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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\n\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\tCurso Multicointegraci\u00f3n en FOREX<\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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Con esa idea en este post voy a mostraros un par de ejemplos que he analizado para ver la situaci\u00f3n del mercado las pr\u00f3ximas semanas, as\u00ed puedes ver t\u00fa tambi\u00e9n cu\u00e1l es la utilidad pr\u00e1ctica que se le puede sacar a la cointegraci\u00f3n<\/strong>.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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\u00a0<\/em><\/p>

En este primer ejemplo tenemos el spread de cointegraci\u00f3n en temporalidad Diaria entre EURCHF y GBPCHF<\/strong>.<\/em><\/p>

Si te fijas en el gr\u00e1fico en el momento actual el spread est\u00e1 por debajo de l\u00ednea naranja,que marca la primera desviaci\u00f3n con respecto a la media, lo que quiere decir que hay un desequilibrio entre ambos pares de divisas.<\/em><\/p>

Esta situaci\u00f3n la podemos utilizar en arbitraje comprando en este caso GBPCHF y vendiendo EURCHF, siempre teniendo en cuenta el valor de la beta entre ambos.<\/em><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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\u00a0<\/em><\/p>

En este segundo spread analizo dos pares de divisas que en principio pueden parecer muy diferentes como AUDCAD y NZDCHF<\/strong>, pero que conjuntamente muestran un comportamiento con una relaci\u00f3n estable.<\/em><\/p>

Pues como en el ejemplo anterior actualmente se un desequilibrio importante ya que el spread est\u00e1 entre la primera desviaci\u00f3n(l\u00ednea naranja) y la segunda(l\u00ednea azul)<\/em><\/p>

Por tanto una estrategia inteligente aqu\u00ed ser\u00eda comprar NZDCHF y vender AUDCAD, esperando una vuelta a la zona de equilibrio de largo plazo<\/em><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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Un detalle que hay que tener en cuenta es que es probable que se necesiten varias semanas para la vuelta al equilibrio de las divisas<\/strong>,ya que son datos en diario,pero aunque lleve su tiempo,incluso si la diferencia se amplia eventualmente acabar\u00e1n volviendo a estabilizarse.<\/p>\n

\u00c9sta misma l\u00f3gica podemos usarla introduciendo m\u00e1s activos y en temporalidades inferiores, siempre ajustando y teniendo en cuenta las peculiaridades que cada situaci\u00f3n nos da.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t

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\n\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\tCurso de Carteras de Inversi\u00f3n GRATIS<\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t
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\n\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\tCurso Multicointegraci\u00f3n en Forex GRATIS<\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

El an\u00e1lisis de cointegraci\u00f3n y multicointegraci\u00f3n usado en econometria puede ser de mucha ayuda cuando queremos comprobar los desequilibrios que hay entre los precios de los activos financieros,especialmente en el mercado de divisas(Forex), donde hay una interrrelaci\u00f3n muy importante entre todos los pares de divisas que vemos en el mercado. Ya anteriormente he hablado aqu\u00ed …<\/p>\n

An\u00e1lisis de Cointegraci\u00f3n para Forex<\/span> Leer m\u00e1s »<\/a><\/p>\n","protected":false},"author":1,"featured_media":616,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[24],"tags":[76],"yoast_head":"\nAn\u00e1lisis de Cointegraci\u00f3n para Forex - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/ricovictor.com\/index.php\/2020\/05\/31\/analisis-de-cointegracion-para-forex\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"An\u00e1lisis de Cointegraci\u00f3n para Forex - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas\" \/>\n<meta property=\"og:description\" content=\"El an\u00e1lisis de cointegraci\u00f3n y multicointegraci\u00f3n usado en econometria puede ser de mucha ayuda cuando queremos comprobar los desequilibrios que hay entre los precios de los activos financieros,especialmente en el mercado de divisas(Forex), donde hay una interrrelaci\u00f3n muy importante entre todos los pares de divisas que vemos en el mercado. 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Ya anteriormente he hablado aqu\u00ed … An\u00e1lisis de Cointegraci\u00f3n para Forex Leer m\u00e1s »","og_url":"https:\/\/ricovictor.com\/index.php\/2020\/05\/31\/analisis-de-cointegracion-para-forex\/","og_site_name":"V\u00edctor A. 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